Research highlights
Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in Economics and Finance, such as the American Economic Review, Econometrica, the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies. A sample of recent papers is below.
Research highlight
Informational Black Holes in Financial Markets
Journal of Finance, 78 (6), 3099-3140
Research highlight
Corporate Capture of Blockchain Governance
Review of Financial Studies, 36 (4), 1364–1407
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Research highlight
Measuring the welfare cost of asymmetric information in consumer credit markets
Journal of Financial Economics, 146 (3), 821-840
Research highlight
Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
Research highlight
Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Research highlight
Public Procurement in Law and Practice
American Economic Review, 112 (4), 1091-1117
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
Feedback trading
Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...
Opening and closing the market: evidence from the London Stock Exchange
Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening...
A risk assessment model for banks
The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks...
Estimation in two classes of semiparametric diffusion models
In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first...
Rational trader risk
Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily...
Credible pensions
This paper is about the problem of trust in public and private pensions. Trust is largely a problem of credibility and whether we can reasonably...
Multiple-bank lending: diversification and free-riding in monitoring
This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to...
Financial Supervision in an Integrating Europe: Measuring Cross-Border Externalities
Against the backdrop of an integrating Europe, the debate on the need for European arrangements for financial supervision and stability is...
General properties of rational stock-market fluctuations
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market...
A human capital explanation for an asset allocation puzzle
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibrated uninsurable labor income risk rationalizes...
Performance of personal pension schemes in the UK
This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...
Stopping short?: evidence on contributions to long-term savings from aggregate and micro data
With a move away from up-front charges following the introduction of stakeholder pensions, consumers are no longer penalised for lapsing on many long...
Can the retirement-consumption puzzle be resolved?: evidence from the British Household Panel Survey
This paper uses data from the British Household Panel Survey to shed further light on the fall in spending at retirement (the "retirement-consumption...
Continous time optimal stochastic growth: local martingales, transversality and existence
The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...
Co-ordination failure and the role of banks in the resolution of financial distress
Despite a steady accumulation of empirical work, there has been no theoretical work attempting to shed light on the role of banks in facilitating...
